The paper focuses on the problem of monochromatic electromagnetic TM wave propagation in a two-layer circular cylindrical dielectric waveguide. The space outside the waveguide is filled with isotropic medium having constant permittivity. The inner core of the waveguide is filled with isotropic medium having constant permittivity; the cladding of the core is filled with isotropic inhomogeneous nonlinear permittivity (the nonlinear term is expressed by Kerr law). Existence of guided modes which depend harmonically on z (the waveguide axis coincides with z-axis) is proved and their localization is found. Numerical results including different type of nonlinearities are presented. A comparison with the linear case is given. The existence of a new propagation regime is predicted.